我国证券市场内幕交易的法学实证分析——来自31起内幕交易成案的统计分析

内幕交易是证券法学界炙手可热、经久不衰的热门课题,关于内幕交易的各种概念、学说、理论被学术界翻炒得烂熟,解剖个案麻雀的精彩论著也不鲜见,但受制于案例、资料和相关数据的局限,少有学者从实证角度,系统性地研究我国内幕交易成案的总体特征。本文力图在传统证券法学研究途径之外,独辟蹊径,通过运用统计、数量分析等经济学科工具,对证券市场成立以来查处的全部31起内幕交易案件加以实证分析,以期得出我国内幕交易案件的发案特征与规律,为打击和防范内幕交易违法行为,修订内幕交易法制提供数据支持和实证参考。     

浅析单位内幕交易违法的认定与处罚

近年,单位作为主体从事内幕交易的案例呈增加之势。本文结合行政执法与刑事司法实践,结合近年典型单位内幕交易案例,并借鉴海外监管查处经验,着重讨论了单位内幕交易认定的一些疑难法律问题,诸如是否将单位作为违法主体以及是否处罚、如何认定单位知悉与利用内幕信息、如何区分单位内幕交易行为与个人内幕交易行为等问题。     

Insider Trading and the Bid-Ask Spread

This study examines the intertemporal and cross-sectional association between the bid-ask spread and insider trading. Empirical results from the cross-sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading. The time-series regression analysis, however, finds no evidence of spread changes on insider trading days. These results suggest that although market makers may not be able to detect insider trading when it occurs, they protect themselves by maintaining larger spreads for stocks with a greater tendency of insider trading. The results also reveal that market makers establish larger spreads when there are unusually large transactions. In addition, this study finds that spreads are positively associated with risk and negatively with trading volume, the number of exchange listings, share price, and firm size.     

Insider Trading and Corporate Governance: The Case of Germany

We analyse transactions by corporate insiders in Germany. We find that insider trades are associated with significant abnormal returns. Insider trades that occur prior to an earnings announcement have a larger impact on prices. This result provides a rationale for the UK regulation that prohibits insiders from trading prior to earnings announcements. Both the ownership structure and the accounting standards used by the firm affect the magnitude of the price reaction. The position of the insider within the firm has no effect, which is inconsistent with the informational hierarchy hypothesis.     

内幕交易罪的司法困境及出路研究

近年来内幕交易案件频发,无论是"杭萧钢构案",还是"上海祖龙内幕交易案"都在司法认定方面引起了理论和实务界的较大争议。这充分表明,在认定内幕交易罪的司法实践中仍然存在很多待解的难题。只有在对这些司法难题进行深入剖析的基础上,重构内幕信息的认定标准、改善内幕交易行为的取证路径、强化内幕交易的执法力度、完善机制设计,才能破解司法难题,维护证券市场的公平公正,保障证券法律法规得以遵守和执行。     

Insider Trading and Pay‐Performance Sensitivity: An Empirical Analysis

Abstract:   We examine whether the sensitivity of pay to performance is associated with the amount of insider trading that managers undertake. Because insider trading profits represent an alternative form of compensation, we expect that firms will consider the compensation component provided by insider trading when designing remuneration contracts. Employing a proxy for insider trading that captures the degree to which managers trade on private information, we find evidence that an increased (a decreased) level of insider trading is associated with a decreased (an increased) pay‐performance sensitivity.     

内幕交易监管与监管困境研究综述

各国对内幕交易的监管基本采取立法的形式，许多学者都探讨了实施内幕交易监管的有效性以及监管效率问题。本文对相关文献进行了梳理，发现从内幕交易监管有效性的纵向比较分析，内幕交易监管并不能达到预期的效果；从横向比较分析，内幕交易监管越严格，越有利于降低内幕交易程度。总体而言，内幕交易监管是必要与相对有效的。因交易者策略与量价甄别指标的主观性而产生了监管困境，降低了监管效率。但是监管总体上可以带给市场的效益高于成本，那么内幕交易监管的实施与不断完善是非常有必要的。     

Insider Trading in the Hong Kong Stock Market

Many previous studies on insider trading are based ondata in the U.S. capital market and conclude thatinsiders can earn abnormal profits. This paperexamines abnormal price performance associated withinsider trading in the Hong Kong stock market. We findthat abnormal profits associated with insider tradingare all concentrated on small firms. Trading volumedoes matter in determining the magnitude of thoseabnormal profits. Our results show that insiders ofmedium-sized and large firms do not earn abnormalprofits. Finally, it is found that outsiders who mimicthe information of insider trades associated withmedium-sized and large firms cannot earn abnormalprofits.     

上市公司内部人亲属股票交易行为研究

中国的《证券法》等法律法规禁止内部人短线交易,并设置了内部人禁止股票买卖的敏感期,但内部人亲属不受此限制。本文对深圳证券交易所2007年5月至2010年5月的内部人亲属股票交易数据分析发现:(1)上市公司的内部人亲属对内部人任职企业的股票交易次数已经远远多于内部人自身的交易次数;(2)内部人亲属的交易存在很多的短线交易行为与敏感期交易行为;(3)内部人亲属股票交易整体而言能够获得超额收益;(4)短线交易与敏感期交易有助于内部人亲属获得超额收益;(5)董事长或总经理的亲属获得的收益比其他内部人亲属更高。据此,本文认为证券交易监管机构需要关注内部人亲属股票交易行为,尤其警惕内部人亲属交易可能成为规避内部人交易管制的替代方式。     

Earnings Management in IPO Lockup and Insider Trading: Evidence from Taiwan

This paper examines the hypothesis that the timing of lockup expiration is crucial to earnings management (EM) behavior in the period after an initial public offering (IPO). Taiwan's unique two-stage lockup regulations make the Taiwanese sample an excellent candidate for examining this hypothesis. Three main results are reached. First, we find positive discretionary accruals (DAs) from the IPO quarter to the quarter after the expiration of the first-stage lockup. The DA in the quarter of the second-stage lockup expiration is significantly positive. The evidence shows that the lockup provision is key in the findings of significant EM in the IPO year and the following year. We also find a positive association between DAs in first-stage lockups and subsequent insider selling activity, indicating that insiders' selling after lockup expiration accounts for EM in the lockup period. Third, the extent of EM in first-stage lockup is negatively related to that around the IPO, consistent with the reversal nature of DAs.     

股权分置改革中的机构合谋与内幕交易

本文考察了股权分置改革过程中机构投资者与非流通股股东之间的合谋问题以及合谋的可能途径——内幕交易。文章的基本发现有两个:第一,在控制了影响股改对价水平的主要因素之后,机构投资者对方案的赞成比例与股改对价水平之间存在显著的负相关关系,而全体流通股股东以及大个体流通股股东对方案的赞成比例与对价水平之间呈现显著的正相关关系;第二,机构投资者对方案的赞成比例越高,公司的内幕交易程度也越高,而其他流通股股东的表决意见与内幕交易程度之间没有显著关系。这意味着机构投资者与非流通股股东利用内幕交易进行了合谋,合谋的结果使得非流通股股东得以支付一个较低的对价水平,而机构投资者则通过内幕交易获得额外收益。     

内幕交易实时监控系统的构建——基于GARJI模型的实证研究

从信息抵达和动态跳跃特征的角度研究内幕交易的事中监管,构建了基于GAR JI模型的实时监控系统。从兼顾漏报和错报率的角度出发,提出了两档基于异常信息抵达概率和股价涨跌幅的内幕交易预警标准,保证了预警的功效。针对案例股票的模拟监控实验表明,该系统效果良好,适用于当前股市。     

Information Production, Insider Trading, and the Role of Managerial Compensation

We analyze the information production decision of a manager who can trade on this information and whose compensation is increasing in the stock price. The amount of information produced increases with the stock's volatility and liquidity and decreases with the manager's pay-performance sensitivity. Insider trading regulations that symmetrically inhibit the manager's ability to buy and sell stock cause her to produce less information. But asymmetric insider trading regulations like the short sales prohibition have an ambiguous effect inducing her to produce more or less information depending on her pay-performance sensitivity. This contradicts the standard argument made by opponents of insider trading regulations that such regulations always reduce information production.     

对金融衍生品市场内幕交易的一些新思考--澳大利亚现行的反内幕交易法及其带给我们的若干启示

本文着眼于澳大利亚在治理金融衍生品市场内幕交易中积累的丰富经验,针对一个崭新的前瞻性课题,即金融衍生品市场的内幕交易问题展开研究。作者认为,由于内幕交易与信息非对称性之间存在的内在冲突,实际上反内幕交易法规很难有效地阻止金融衍生品的内幕交易行为,过于复杂的反内幕交易法规会对市场产生一些负面影响,而放松内幕交易监管这一新思维将对市场的良性发展更为有益,应该让市场来决定内幕交易行为的“存亡”。但目前最为现实、温和的选择仍然是修改现行反内幕交易法,以维护市场的公平性和有效性。最后,笔者对如何缓解中国目前内幕交易猖獗的现状提出建议。     

Stock Prices and the Secondary Dissemination of Information: The Wall Street Journal's "Insider Trading Spotlight"Column

In this paper we test whether a secondary dissemination of information affects stock prices. We examine stock price reactions to the publication of the “Insider Trading Spotlight”(ITS) column in the Wall Street Journal (WSJ). Since insider trades reported in the ITS column are initially disclosed to the public when insiders’ reports are filed with the Securities and Exchange Commission (SEC), the information contained in the WSJ is a secondary dissemination. Around the WSJ publication day, we find significant abnormal stock performance accompanied by a significant increase in trading volume. Our evidence suggests that a secondary dissemination of information can affect stock prices if the initial public disclosure attracts only limited attention by the market. In addition, we document how insider trading information is conveyed to the market.     

Dividends and Market Signalling: an Analysis of Corporate Insider Trading

This study tests the multiple‐signal theory of dividends of John and Lang (1991) in the context of a European market. Our evidence shows that investors are more sensitive to insider trading signals than to signalled changes in existing dividends. In effect, the insider sales signal is universally understood as bad news. After controlling for the quality of a firm's investment opportunities, investors are found to penalise dividend outflows by mature firms that exhibit more informed insider sales activity. Finally, we offer an innovative exploration of the role of earnings announcements in market reaction to the dividend signal.     

海外内幕交易主体的规则和司法判例研究及借鉴

文章分析了美国《证券交易法》规则10b5—2的合理性和缺陷，同时参照美国、台湾和日本的证券立法实践，对我国《证券法》中有关内幕交易主体的规定存在的缺陷提出了修改和完善的建议。我国《证券法》应将家庭成员、发行人和外部信息制造者纳入内幕交易的主体范围，这对于正确理解和完善内幕交易的法律规则将起到积极作用。     

The Governance Effect of the Media's News Dissemination Role: Evidence from Insider Trading

We investigate whether the media plays a role in corporate governance by disseminating news. Using a comprehensive data set of corporate and insider news coverage for the 2001–2012 period, we show that the media reduces insiders’ future trading profits by disseminating news on prior insiders’ trades available from regulatory filings. We find support for three economic mechanisms underlying the disciplining effect of news dissemination: the reduction of information asymmetry, concerns regarding litigation risk, and the impact on insiders’ personal wealth and reputation. Our findings provide new insights into the real effect of news dissemination.     

Trading on inside information: Evidence from the share-structure reform in China

We examine stock trading activities in days before Chinese listed firms made public announcement to start share-structure reform. There is significant evidence that, relative to a benchmark period, institutional investors bought more event firms’ shares in the last two trading days prior to announcement. Randomization tests show significant differences in institutional trading activities between event firms and matched control firms, which suggests that some institutions had inside information. Moreover, large trades account for a significant proportion of daily stock price changes in the last 2 days. The evidence is consistent with the prediction by Holden and Subrahmanyam (1992) that, when multiple informed investors acquire the same piece of information, they will trade aggressively. We also find that over the reform period, the median share value change of event firms is 6% higher than that of control firms. Our findings have important implications for enforcement of insider trading regulations in China.